Cross-border exchanges and volatility forecasting

We test for the performance of a series of volatility forecasting models (GARCH 1,1; EGARCH 1,1; CGARCH) in the context of several indices from the two oldest cross-border exchanges (Euronext; OMX). Our findings overall indicate that the EGARCH (1,1) model outperforms the other two, both before and after the outbreak of the global financial crisis. Controlling for the presence of feedback traders, the accuracy of the EGARCH (1,1) model is not affected, something further confirmed for both the pre and post crisis periods. Overall, ARCH effects can be found in the Euronext and OMX indices, with our results further indicating the presence of significant positive feedback trading in several of our tests.     

A play-the-winner-type urn design with reduced variability

We propose a new adaptive allocation rule, the drop-the-loser, that randomizes subjects in the course of a trial comparing treatments with dichotomous outcomes. The rule tends to assign more patients to better treatments with the same limiting proportion as the randomized play-the-winner rule. The new design has significantly less variable allocation proportion than the randomized play-the-winner rule. Decrease in variability translates into a gain in statistical power. For some values of success probabilities the drop-the-loser rule has a double advantage over conventional equal allocation in that it has better power and assigns more subjects to the better treatment. Acknowledgments. I thank Stephen Durham, the associate editor, and the referees for their helpful suggestions.     

公司业绩与财务杠杆

本文从实证角度分析了我国上市公司的财务杠杆对公司业绩的影响。结果表明,往年财务杠杆和当年财务杠杆对当年公司业绩的影响截然相反。财务杠杆对公司的息税后收益和息税前收益均有影响。长期负债率和长期借款率对公司业绩的影响分别比同年的流动负债率和短期借款率对公司业     

A NOTE ON ARBITRAGE AND CLOSED CONVEX CONES

We give an example of a subspace K of     such that     , where     denotes the closure with respect to convergence in probablity. On the other hand, the cone   C ≔ K − L ^∞₊  is dense in   L ^∞  with respect to the weak-star topology  σ( L ^∞, L ¹)  . This example answers a question raised by I. Evstigneev. The topic is motivated by the relation of the notion of no arbitrage and the existence of martingale measures in Mathematical Finance.     

美国调节区域经济差异的财政措施及启示

美国的地理位置和历史文化决定了美国区域经济的发展严重不平衡.本文分析了美国政府对落后地区经济的财政调节措施,这对我国在市场经济条件下调节区域经济,推进西部大开发,一定具有深刻的启示.     

高校财务实行内部会计控制的几点思考

分析了高校实施内部会计控制的背景和存在的主要问题,表述了对高校内部会计控制的方法和关键控制点,提出了解决目前高校内部会计控制存在问题的解决方法和主要对策.     

论我国农村经济发展的金融支持

农村资本积累缓慢,存在着严重的供给不足,农村积累资金的一部分又通过其他途径流向城市,更加重了乡村资本的稀缺,阻碍了农村经济的发展.加快农村经济发展的根本途径,是向农村提供金融支持,政府应通过加大对农村公共品和农业基础设施的投入,改善农村投资环境,改革和完善农村金融体系,改革现有的农地制度,为农民、农村提供融资工具,以获取发展的资本来推动农村地区的经济发展.     

对商业银行推行客户经理制的探讨

加入WTO后,国外银行业对中国银行业的冲击是全方位的,在个人银行业务领域,首当其冲的就是改革开放20年来日渐壮大的高端客户群和潜力客户群,面对严峻的竞争环境,我国商业银行必须未雨绸缪,从容应对,率先抢占。我们应该清醒的认识到,竞争并不可怕,可怕的是没有明确的市场定位,不了解自己的长处和短处。只有扎扎实实地建立健全客户经理制,才能不断产生新的金融产品,不断满足客户需求,不断适应客户市场的风云变幻,从而取得持续竞争的优势。     

论法律不完备性与政府介入期货市场

在期货市场上，法律不完备性问题表现得较为突出，法律对于侵害行为的阻吓作用非常有限、期货市场法律的不完备性，主要取决于期货市场的特点和性质。政府采取相关的监管方式管理期货市场非常必要，监管的介入需要满足标准化和损害（外部性）足够高的条件。政府管理期货市场立法和法院执法的作用不可或缺，但更主要的是采用监管的方式。